BrokerTec European Repo average daily notional value (ADNV) reached a record €336 billion ($375bn), US Repo ADNV reached $281 billion and US Treasury ADNV reached $154 billion.
John Edwards, global head of BrokerTec, wrote: “US Treasury Benchmark volumes continued strong performance in February with ADV reaching $154 billion (+5% YOY/ +34% vs. 2021 ADV), its highest level since March 2020, driven by increased focus on the Fed and geopolitical volatility.
As the market digested hawkish Fed comments and priced in more hikes for 2022 per CME FedWatch Tool, and grappled with a faster rate of tapering, the UST 2-year and 10s curves flattened by over 39.6 basis points (77.6 bp to 38.0) from 1 January as measured by BrokerTec Benchmark closing levels.
RV Curve ADV reached a record $1.2 billion in February and saw four days with volume over $2 billion traded, including record daily volume of $2.8 billion on 10 February.
CME also launched the US Treasury Market Profile Tool aimed at helping market participants identify execution efficiencies across CME Group’s listed futures and BrokerTec cash treasuries on 16 February.
In EU Repo, overall February nominal ADV for EU Repo was €336 billion, a record monthly volume for BrokerTec EU Repo. The platform experienced six record nominal ADV days for EU Repo, with a high on 21 February with volumes comparable to 1 March 2021 pandemic levels.
EU Repo volumes in February increased particularly in German and UK debt, as the market reacted to inflationary pressures, central bank interest rate activity and global events. Although short dated GC levels remained relatively unchanged, there was increased pressure on specific bond levels, potentially due to short positioning from the market looking to take directional risk.
In US Repo, BrokerTec saw an uptick in volume with ADV reaching $281 billion (+26% YOY), reflecting clients’ increasing attention on Fed policy comments and the curtailing of the US Treasuries and Agencies purchasing program. BrokerTec has seen increased open positions due to many emerging relative value trades in US Treasuries in anticipation of possible changes to the US interest rate and the end of SOMA holdings in April.